Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0835
Annualized Std Dev 0.8143
Annualized Sharpe (Rf=0%) 0.1026

Row

Daily Return Statistics

Close
Observations 3111.0000
NAs 1.0000
Minimum -0.4303
Quartile 1 -0.0157
Median 0.0026
Arithmetic Mean 0.0017
Geometric Mean 0.0003
Quartile 3 0.0208
Maximum 0.4129
SE Mean 0.0009
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0035
Variance 0.0026
Stdev 0.0513
Skewness 0.0021
Kurtosis 14.6379

Downside Risk

Close
Semi Deviation 0.0365
Gain Deviation 0.0400
Loss Deviation 0.0425
Downside Deviation (MAR=210%) 0.0395
Downside Deviation (Rf=0%) 0.0359
Downside Deviation (0%) 0.0359
Maximum Drawdown 0.9482
Historical VaR (95%) -0.0682
Historical ES (95%) -0.1240
Modified VaR (95%) -0.0675
Modified ES (95%) -0.0675
From Trough To Depth Length To Trough Recovery
2008-11-10 2009-03-06 2015-07-22 -0.9482 1685 80 1605
2020-02-18 2020-03-23 NA -0.8599 276 25 NA
2018-01-29 2018-12-24 2019-07-26 -0.5404 376 229 147
2015-07-23 2016-02-11 2016-11-14 -0.5335 333 141 192
2019-07-29 2019-08-14 2019-11-01 -0.1970 69 13 56

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA -43 10.7 -36.9
2009 -7.2 -15.7 8 -3.8 4.5 -0.8 1.8 -14 -11.6 -12.6 0.8 -1.2 -43.2
2010 4.3 1.1 2.4 -7 -6.4 -1.9 0 10.9 2.2 0.1 5.7 0.4 11.4
2011 5.5 -5.9 2.2 -0.3 -9.5 5.3 -1.2 -6.3 -9.5 -13 -1.9 -1.6 -32.2
2012 4.7 3.3 1.1 3.1 -10.3 7.4 -1.5 1.5 1.1 3.8 -0.1 3.8 18.1
2013 3.6 0.6 -1.2 -3.2 -4.2 1.7 4.6 -2.1 2.4 0.7 -1.1 1 2.5
2014 -3.6 1.4 1.1 0.7 0.5 1.8 -2.2 1.2 -3.3 3.4 -2.2 -3.5 -5
2015 -4 -1.2 -0.4 2.1 0.4 4.2 -1 -9.5 0.9 -3.5 3.2 -2.7 -11.6
2016 -0.6 10.3 2.5 -1.9 0.7 -1.1 -0.6 -0.9 2.6 -2.5 1.8 0.9 10.9
2017 -0.6 6 -1.4 1.4 3 -0.3 2 0.7 1 0.4 0.4 -1.3 11.6
2018 1.1 -4.3 3.6 0.9 2.5 0 0.8 0 0 1.8 2.3 2.5 11.8
2019 1.6 1.4 5 -2.2 -2.8 2.6 -4.2 0.5 -4.8 3.1 -0.7 1 -0.1
2020 -6.1 -6.2 -18 -9.4 3.6 0.7 -0.3 1.3 1.2 0.8 4.2 3.5 -24.1
2021 4 9.1 -3.3 NA NA NA NA NA NA NA NA NA 9.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-11-06  34.1 SPY    90.9 -0.0554  -0.0565  -0.0682   -0.298   -0.386   -0.256   -0.142 GLD    72.2 -0.008   -0.0067
2 2008-11-07  35.4 SPY    93.9  0.033   -0.0307   0.0348   -0.282   -0.362   -0.232   -0.118 GLD    72.5  0.0039   0.0163
3 2008-11-10  32.1 SPY    92.6 -0.0131  -0.0461   0.0467   -0.284   -0.362   -0.242   -0.123 GLD    73.6  0.0149   0.0349
4 2008-11-11  30.3 SPY    89.8 -0.0309  -0.106   -0.114    -0.302   -0.375   -0.266   -0.146 GLD    72.0 -0.0208  -0.0454
5 2008-11-12  24.8 SPY    85.8 -0.044   -0.108   -0.140    -0.338   -0.420   -0.304   -0.184 GLD    70   -0.0285  -0.0385
6 2008-11-13  30.1 SPY    91.2  0.0623   0.0034   0.0128   -0.300   -0.383   -0.263   -0.143 GLD    72.2  0.0307  -0.001 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart